Systematica Investments’ listed version of its flagship hedge fund, Schroder GAIA BlueTrend, has dropped approximately 19% year-to-date, reflecting the mounting pressure on trend-following strategies, according to a report by the Financial Times.
The fund, which tracks the systematic macro strategies of Systematica’s flagship BlueTrend, trades across rates, equities, currencies, and commodities. Its losses come as trend-based models have been challenged by abrupt reversals and heightened macro uncertainty – particularly around commodities and rates.
According to the FT report, he drawdown stemmed from adverse positions in natural gas, silver, coffee, as well as moves in the US dollar and Treasury markets.
Systematica, which oversees $17bn in assets, is led by Leda Braga, a quant pioneer and former president of BlueCrest Capital’s systematic trading arm before it spun out into Systematica in 2015.
Systematica has not yet commented on the fund's performance.
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